Index Future Trading, Spot Volatility And Market Efficiency
نویسندگان
چکیده
منابع مشابه
Trading Volatility Spreads: A Test of Index Option Market Efficiency
If returns on two assets share common volatility components, the prices of options on the assets should be interdependent and the implied volatility spread should mean revert. We first demonstrate, using the canonical correlation method, that there is a common component among the volatilities of the returns on S&P 100 and S&P 500 indexes. We then exploit this commonality by trading on the volat...
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ژورنال
عنوان ژورنال: Journal of Management Sciences
سال: 2014
ISSN: 2413-8657,2313-0113
DOI: 10.20547/jms.2014.1401201